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An Improvement of the Approximation of the Ruin Probability in a Risk Process
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 Title & Authors
An Improvement of the Approximation of the Ruin Probability in a Risk Process
Lee, Hye-Sun; Choi, Seung-Kyoung; Lee, Eui-Yong;
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In this paper, a continuous-time risk process in an insurance business is considered, where the premium rate is constant and the claim process forms a compound Poisson process. We say that a ruin occurs if the surplus of the risk process becomes negative. It is practically impossible to calculate analytically the ruin probability because the theoretical formula of the ruin probability contains the recursive convolutions and infinite sum. Hence, many authors have suggested approximation formulas of the ruin probability. We introduce a new approximation formula of the ruin probability which extends the well-known De Vylder's and exponential approximation formulas. We compare our approximation formula with the existing ones and show numerically that our approximation formula gives closer values to the true ruin probability in most cases.
Surplus process;Poisson process;risk model;run probability;approximation formula;
 Cited by
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Communications for Statistical Applications and Methods, 2011. vol.18. 4, pp.433-443 crossref(new window)
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Journal of the Korean Data and Information Science Society, 2014. vol.25. 1, pp.1-10 crossref(new window)
New approximations of the ruin probability in a continuous time surplus process, Journal of the Korean Data and Information Science Society, 2014, 25, 1, 1  crossref(new windwow)
Ruin Probability in a Compound Poisson Risk Model with a Two-Step Premium Rule, Communications for Statistical Applications and Methods, 2011, 18, 4, 433  crossref(new windwow)
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